According to the New York Times archive, then Rangers GM Phil Esposito was approached by then Edmonton GM, Glen Sather about Gretzky:

”He came up to me on draft day and said, ‘I think Gretzky is going to be moved,’ and asked if I was interested,” Esposito said at the team’s midsummer news conference. Esposito told him he was, but when Sather started discussing terms, Esposito quickly lost interest.

”I told him: ‘It’s great to have Gretzky, but who’s he going to play with? I think it’s too much,’ ” he said.

The article states that the Rangers were contacted because, “”Gulf and Western could afford him”.

…Of course the Rangers were asked about Gretzky, even back then, who weren’t the Rangers asked about. For those who didn’t watch, Glen Sather did take part in the documentary and clips of him without glasses are very freaky.